/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.irfutureoption;
import java.util.Collections;
import java.util.Set;
import com.opengamma.analytics.financial.interestrate.ImpliedVolatilityBlackCalculator;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.black.BlackDiscountingImpliedVolatilityIRFutureOptionFunction;
/**
* Interpolates, for InterestRateFutureOptions using Black model, and returns the implied volatility required.
* @deprecated Use {@link BlackDiscountingImpliedVolatilityIRFutureOptionFunction}
*/
@Deprecated
public class InterestRateFutureOptionBlackImpliedVolatilityFunction extends InterestRateFutureOptionBlackFunction {
/** The implied volatility calculator */
private static final ImpliedVolatilityBlackCalculator CALCULATOR = ImpliedVolatilityBlackCalculator.getInstance();
/**
* Sets the value requirement name to {@link ValueRequirementNames#IMPLIED_VOLATILITY}
*/
public InterestRateFutureOptionBlackImpliedVolatilityFunction() {
super(ValueRequirementNames.IMPLIED_VOLATILITY, false);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative irFutureOption, final YieldCurveWithBlackCubeBundle data, final ValueSpecification spec,
final Set<ValueRequirement> desiredValues) {
final Double impliedVol = irFutureOption.accept(CALCULATOR, data);
return Collections.singleton(new ComputedValue(spec, impliedVol));
}
}